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subject:"Derivative"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Volatilität"
~type:"article"
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Search: subject_exact:"Asian option"
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Derivative
Volatilität
Option trading
47
Optionsgeschäft
47
Option pricing theory
37
Optionspreistheorie
37
Stochastic process
11
Stochastischer Prozess
11
Theorie
11
Theory
11
Volatility
11
Derivat
8
Black-Scholes model
6
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American option
2
American options
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European option
2
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19
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19
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Cui, Zhenyu
2
Joshi, Mark S.
2
Li, Chenxu
2
Tang, Robert
2
Barletta, Andrea
1
Bernales, Alejandro
1
Beveridge, Christopher
1
Cai, Ning
1
Chen, Louisa
1
Chiarella, Carl
1
Ewald, Christian-Oliver
1
Fabozzi, Frank J.
1
Gao, Bin
1
Hassan, Nadima el
1
He, Xin-Jiang
1
Hu, Yuan
1
Huang, Jing-Zhi
1
Jondeau, Eric
1
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1
Kim, Jeongsim
1
Kim, Jerim
1
Kirkby, J. Lars
1
Kuczera, Adam
1
Lindquist, W. Brent
1
Ma, Jingtang
1
Menkens, Olaf
1
Muroi, Yoshifumi
1
Nguyen, Duy
1
Quaye, Enoch Nii Boi
1
Račev, Svetlozar T.
1
Rockinger, Michael
1
Santucci de Magistris, Paolo
1
Schlögl, Erik
1
Shi, Chao
1
Shirvani, Abootaleb
1
Sloth, David
1
Subrahmanyam, Marti G.
1
Suda, Shintaro
1
Ting, Sai Hung Marten
1
Tunaru, Radu
1
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Journal of economic dynamics & control
The journal of futures markets
86
International journal of theoretical and applied finance
48
Journal of banking & finance
46
Applied mathematical finance
32
Review of derivatives research
32
Finance research letters
30
Quantitative finance
29
The journal of derivatives : the official publication of the International Association of Financial Engineers
23
International journal of financial engineering
21
Journal of financial economics
21
International review of economics & finance : IREF
20
Journal of financial markets
20
The North American journal of economics and finance : a journal of financial economics studies
19
International review of financial analysis
18
Management science : journal of the Institute for Operations Research and the Management Sciences
16
The journal of computational finance
16
European journal of operational research : EJOR
14
The journal of derivatives : JOD
14
Applied financial economics
13
Journal of mathematical finance
13
The European journal of finance
13
Applied economics
12
Computational economics
12
Review of quantitative finance and accounting
12
Journal of econometrics
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
The journal of finance : the journal of the American Finance Association
11
Energy economics
10
Annals of finance
9
Applied economics letters
9
Finance and stochastics
9
Global finance journal
9
Journal of risk and financial management : JRFM
9
Risks : open access journal
9
Economic modelling
8
Finanzmarkt und Portfolio-Management
7
Journal of derivatives & hedge funds
7
Journal of financial and quantitative analysis : JFQA
7
Pacific-Basin finance journal
7
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ECONIS (ZBW)
19
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19
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1
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
2
The stock implied volatility and the implied dividend volatility
Quaye, Enoch Nii Boi
;
Tunaru, Radu
- In:
Journal of economic dynamics & control
134
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013383766
Saved in:
3
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei
;
Yang, Nian
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
Saved in:
4
Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Cai, Ning
;
Li, Chenxu
;
Shi, Chao
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-41
Persistent link: https://www.econbiz.de/10012668507
Saved in:
5
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
6
It only takes a few moments to hedge options
Barletta, Andrea
;
Santucci de Magistris, Paolo
;
Sloth, David
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
Saved in:
7
Pricing and exercising American options : an asymptotic expansion approach
Li, Chenxu
;
Ye, Yongxin
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-32
Persistent link: https://www.econbiz.de/10012312643
Saved in:
8
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars
;
Nguyen, Duy
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
Saved in:
9
Learning and forecasts about option returns through the volatility risk premium
Bernales, Alejandro
;
Chen, Louisa
;
Valenzuela, Marcela
- In:
Journal of economic dynamics & control
82
(
2017
),
pp. 312-330
Persistent link: https://www.econbiz.de/10011915574
Saved in:
10
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
71
(
2016
),
pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
Saved in:
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